i really appreciate the kind words about my books. it is always nice to hear. but i honestly wasn't fishing for praise. i really think "option...
there are two books that cover this exact topic. the first is "option market making" by Baird. it is dated but still an excellent book. the...
covered calls are deceptive. they look like a directional play but they are really a distributional play. they are basically a one time hedged...
true, but for different reasons.
yeah, as sle said vix futures and spx puts are different. with vix futures you are betting that implied vol drops. with spx puts (hedged) you are...
selling index volatility is more profitable than selling single name volatility because you are taking on an extra risk. you can call it tail...
thanks it has a few things about harvesting risk premia (what most of vol trading is) that i think people in this thread would find helpful.
hopefully march. it is sort of out of my hands now.
i like gatheral's book but i don't see any reason at all that a vanilla option trader would need to read it. the models he discusses are really...
in addition to what has already been said, the actually numbrical method used for the pricing engine can have large effects. for example, unless...
bs2167, i'm glad you liked the books. A new edition of "Volatility Trading" is coming out in April. It will have about 100 pages of new stuff....
The paper you refer to might be this one. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2094510 I've just written an article for Active...
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